It’s a good question. From The Awl:
The man who invented links was writing them to a grayscale screen. The first popular browser, Mosaic, later turned links blue because it was the darkest color available at the time that wasn’t black; they needed to stand out, but only just. Blue was the best alternative. Blue always survives the focus group. Blue wins the a/b test. Which is convenient, because blue is usually already there.